At some point during your study of whatever language it will probably became vital for you to be able to type text in the language you are learning. This may be even more the case if you are for example trying to converse with a native speaker.
I actually think it's more difficult to read Pinyin, Romaji or Romanised Korean, because even with something like Romaji there is more then one way to write certain characters and so it can become confusing.
So if you would like to be able to write using 汉字，かな or 한글 IME is the choice for you.
Though I only have XP on my machine but from looking at my mum's vista computer I realised that the process is almost exactly the same and goes as follows;

1)Control Panel
2)Date, Time, Language and Regional Options
3)Add Other Languages
4)Choose Languages Tab
i) Tick both boxes under Supplemental Language Support, then go to details button
When a box like this appears
5)Choose Add and pick the languages you want, for Mandarin it's Chinese (PRC), Japanese and Korean are pretty straight forward.
6)Tick Button Next to Keyboard Layout/IME and ok the choice. You can do this multiple times for different languages which will then appear in the language bar on the right hand side of the Windows Taskbar.

When typing Japanese and Chinese using IME the romanised characters are used.
For example when entering Japanese. to write 日本, one must type "nihon" or "nippon". For words that are spelt the same way but with different kanji you press the space bar and choose the one you require for the drop down menu which will appear. A similar process is used to input Chinese.

For Korean however the roman characters do not correspond with the korean characters and so you need to know the keys which are:

So say you wanted to write 안녕하세요, you would have to type "dkssudgktpdy" and not "annyeonghaseyo".

Ooh thanks this is really cool!! I always wondered how people typed in different languages!! Ugh, but I don't know how to read/write any languages that don't have english characters, I can only speak them.. \